Common stock returns and international listing announcements: conditional tests of the mild segmentation hypothesis

Article Abstract:

Issues relating to returns for securities and announcements of international stock listing are examined in detail.

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Intraday volatility and trading volume after takeover announcements

Article Abstract:

Takeover announcements of a company influence its trading volume and stock behavior. In a study of 258 takeover announcements in the Toronto Stock Exchange from 1977 to 1989, firm stock volatility and trading volume reach unusually high levels but decline in the first five hours of trading after announcement of a takeover. Depending on the three possible outcomes of the announcements such as successful, contested and non-contested announcements, the trading volume may surge or remain constant.

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The pricing of currency risk in Japan

Article Abstract:

An intertemporal multifactor asset pricing test of the equity market of Japan reveals that the foreign exchange-rate risk premium is an important element of Japanese stock returns. The currency exposure was found to command a significant risk premium for Japanese multinational and high-exporting firms. Results also show a covariation in Japanese returns associated to the relative distress and size factors.

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